CreditMetrics Technical Document
Research Paper
April 2, 1997
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This Technical Document describes CreditMetrics, a framework for quantifying credit risk in portfolios of traditional credit products (loans, commitments to lend, financial letters of credit), fixed income instruments, and market driven instruments subject to counterparty default (swaps, forwards, etc.). This is the first edition of what we intend will be an ongoing refinement of credit risk methodologies.
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